The key is located past the large bridge in the Huntsman's Copse, and then either through the Necromancer cave or by taking the route around. Once on the ledge around the large valley on the way to the Skeleton Lords boss fight, continue walking until you see a hut on the left, the key will be located inside, guarded by two Rogues, along with multiple more in the above area and one archer just beyond. Just past said location, the player will be invaded by Merciless Roenna.
In Scholar of the First Sin, the key will be located above the aforementioned area. It can be reached by taking the small passage found on the left cliffside and then making way to the top. Merciless Roenna will invade in this area.
The Undead Lockaway Key will give access to a prison cell just past the Bridge Approach bonfire. As one enters Huntsman's Copse, stick to the right until you see a locked cell, inside will be Creighton of Mirrah and the third bonfire in the area.